From volatility to dispersion – capturing return spreads

Cboe and S&P DJI’s intent is to follow a similar approach on dispersion as they did with volatility. Like the Cboe Volatility Index (VIX), there will be a dispersion index based on the S&P500 (SPX) and then potentially futures and options, and so on. Tim Edwards (pictured) , global head of index investment strategy at (S&P DJI), explains how the idea of developing the dispersion index came about. “When in 1990 CBOE launched the VIX index, which is a forward-looking meas